Potì, Valerio; Levich, Richard M.; Pattitoni, Pierpaolo; … - In: International Review of Financial Analysis 33 (2014) C, pp. 117-129
This paper studies currency predictability over time. We assess predictability by testing for the presence of exploitable patterns in currency returns. To do so, we first generate consistent and parsimonious reduced-form estimates of currency expected returns and variances and then use these...
